Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Lingfei Li; Rafael Mendoza-Arriaga
| Year of publication: |
2013
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|---|---|
| Authors: | Li, Lingfei ; Mendoza-Arriaga, Rafael |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 41.2013, 5, p. 521-525
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| Subject: | Commodity derivatives | Additive processes | Time change | Ornstein–Uhlenbeck | Time-dependent and mean-reverting jumps | Eigenfunction expansions | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010191968